dc.date.accessioned | 2021-04-21T20:34:46Z | |
dc.date.available | 2021-04-21T20:34:46Z | |
dc.date.created | 2020-10-05T15:16:17Z | |
dc.date.issued | 2020 | |
dc.identifier.citation | Biagini, Francesca Gnoatto, Alessandro Hartel, Maximilian . General Analysis of Long-Term Interest Rates. International Journal of Theoretical and Applied Finance. 2020, 23(1), 2050002-1-2050002-29 | |
dc.identifier.uri | http://hdl.handle.net/10852/85451 | |
dc.description.abstract | We introduce here the idea of a long-term swap rate, characterized as the fair rate of an overnight indexed swap (OIS) with infinitely many exchanges. Furthermore, we analyze the relationship between the long-term swap rate, the long-term yield, (F. Biagini, A. Gnoatto & M. Härtel (2018) Affine HJM Framework on [Formula: see text] and long-term yield, Applied Mathematics and Optimization 77 (3), 405–441, F. Biagini & M. Härtel (2014) Behavior of long-term yields in a lévy term structure, International Journal of Theoretical and Applied Finance 17 (3), 1–24, N. El Karoui, A. Frachot & H. Geman (1997) A note on the behavior of long zero coupon rates in a no arbitrage framework. Working Paper. Available at Researchgate: https://www.researchgate.net/publication/5066730) , and the long-term simple rate (D. C. Brody & L. P. Hughston (2016) Social discounting and the long rate of interest, Mathematical Finance 28 (1), 306–334) as long-term discounting rate. Finally, we investigate the existence of these long-term rates in two-term structure methodologies, the Flesaker–Hughston model and the linear-rational model. A numerical example illustrates how our results can be used to estimate the nonoptional component of a CoCo bond. | |
dc.language | EN | |
dc.title | General Analysis of Long-Term Interest Rates | |
dc.type | Journal article | |
dc.creator.author | Biagini, Francesca | |
dc.creator.author | Gnoatto, Alessandro | |
dc.creator.author | Hartel, Maximilian | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1837191 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=International Journal of Theoretical and Applied Finance&rft.volume=23&rft.spage=2050002-1&rft.date=2020 | |
dc.identifier.jtitle | International Journal of Theoretical and Applied Finance | |
dc.identifier.volume | 23 | |
dc.identifier.issue | 01 | |
dc.identifier.doi | https://doi.org/10.1142/S0219024920500028 | |
dc.identifier.urn | URN:NBN:no-88123 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0219-0249 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/85451/1/biagini_long_term_swap_rate.pdf | |
dc.type.version | AcceptedVersion | |
cristin.articleid | 2050002 | |